The Impact of Oil Prices on Interest Rates, Exchange Rates and Prices; a Comparison Between Discrete and Continuous Time Models
Author: Zamros Dzulkafli
Publisher:
Published: 2007
Total Pages: 386
ISBN-13:
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Author: Zamros Dzulkafli
Publisher:
Published: 2007
Total Pages: 386
ISBN-13:
DOWNLOAD EBOOKAuthor: Lutz Kilian
Publisher:
Published: 2019
Total Pages: 53
ISBN-13:
DOWNLOAD EBOOKThere has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as well as low U.S. real interest rates, along with a surge in global real economic activity. Quantifying these effects one at a time is difficult not only because of the close relationship between the interest rate and the exchange rate, but also because demand and supply shocks in the oil market in turn may affect the real value of the dollar and real interest rates. We propose a novel identification strategy for disentangling the causal effects of oil demand and oil supply shocks from the effects of exogenous shocks to the U.S. real interest rate and exogenous shocks to the real value of the U.S. dollar. We empirically evaluate popular views about the role of exogenous real exchange rate shocks in driving the real price of oil, and we examine the extent to which shocks in the global oil market drive the U.S. real exchange rate and U.S. real interest rates. Our evidence for the first time provides direct empirical support for theoretical models of the link between oil prices, exchange rates, and interest rates.
Author: Martin Bodenstein
Publisher: DIANE Publishing
Published: 2011-04
Total Pages: 47
ISBN-13: 1437980503
DOWNLOAD EBOOKBeginning in 2009, in many advanced economies, policy rates reached their zero lower bound (ZLB). Almost at the same time, oil prices started rising again. The authors analyze how the ZLB affects the propagation of oil shocks. As these shocks move inflation and output in opposite directions, their effects on economic activity are cushioned when monetary policy is constrained. The burst of inflation from an oil price increase lowers real interest rates at the ZLB and stimulates theinterest-sensitive component of GDP, offsetting the usual contractionary effects. In fact, if the increase in oil prices is gradual, the persistent rise in inflation can cause a GDP expansion. Illus. This is a print on demand report.
Author: Robert A. Amano
Publisher:
Published: 1993
Total Pages: 42
ISBN-13:
DOWNLOAD EBOOKAuthor: Deren Unalmis
Publisher: International Monetary Fund
Published: 2009-12-01
Total Pages: 30
ISBN-13: 1451874308
DOWNLOAD EBOOKAnalyzing macroeconomic impacts of oil price changes requires first to investigate different sources of these changes and their distinct effects. Kilian (2009) analyzes the effects of an oil supply shock, an aggregate demand shock, and a precautionary oil demand shock. The paper's aim is to model macroeconomic consequences of these shocks within a new Keynesian DSGE framework. It models a small open economy and the rest of the world together to discover both accompanying effects of oil price changes and their international transmission mechanisms. Our results indicate that different sources of oil price fluctuations bring remarkably diverse outcomes for both economies.
Author: Noureddine Krichene
Publisher: International Monetary Fund
Published: 2006
Total Pages: 32
ISBN-13:
DOWNLOAD EBOOKThis paper examines the relationship between monetary policy and oil prices within a world oil demand and supply model. Low price and high income elasticities of demand and rigid supply explain high price volatilities and producers' market power. Exchange and interest rates do influence oil market equilibrium. The relationship between oil prices and interest rates is a two-way relationship that depends on the type of oil shock. During a supply shock, rising oil prices caused interest rates to increase; whereas during a demand shock, falling interest rates caused oil prices to rise. Record low interest rates led to high oil price volatility in 2005. Data shows that world economic growth and price stability require stable oil markets and therefore more prudent monetary policies.
Author: Bhaskar Bagchi
Publisher: Emerald Group Publishing
Published: 2016-11-01
Total Pages: 225
ISBN-13: 1786355531
DOWNLOAD EBOOKThis book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Author:
Publisher:
Published: 2008
Total Pages: 338
ISBN-13:
DOWNLOAD EBOOKAuthor: Akash Malhotra
Publisher:
Published: 2015
Total Pages: 8
ISBN-13:
DOWNLOAD EBOOKUnderstanding the empirical linkage between oil prices and inflation is imperative as all monetary authorities attempt to keep inflation under check. This paper examines the time-varying correlations between crude oil prices and two major macroeconomic variables, inflation and interest rates in India. A dynamic conditional correlation GARCH analysis is applied to study the impact of oil price fluctuations on Indian Economy. Results of DCC-GARCH show that correlation between WPI (Wholesale price index) and international crude oil prices remains positive and close to one for majority of period except during the subprime mortgage crisis of 2007-09 when these two become negatively correlated. The results from DCC-GARCH suggests that global crude oil prices have significant effect on inflation but no direct effect on interest rates. However, results from Granger causality test indicates that oil prices will be able to affect interest rates at appropriate lag levels.
Author: Hamid Sakaki
Publisher:
Published: 2018
Total Pages: 18
ISBN-13:
DOWNLOAD EBOOKUsing daily data of oil prices and exchange rates of 14 countries for the period January 1999 to November 2014, this study examines the dynamic correlation between oil prices and exchange rates using the DCC-GARCH model. The results show the significantly negative correlation between oil prices and exchange rates over the period. These results imply that the increase of oil price coincides with US dollar depreciation and vice versa. This correlation strengthens in a negative direction during periods of financial crisis while it shifts to an upward trend after the financial crisis period.